The new motion path feature make it possible to precisely control the path a particle takes after emitted. This is done by setting keyframes for a 3D light, the Motion Path light.
To use the Motion Path feature, first create a light (Layer>New>Light).
It should be a point or spot light, the other settings (color, intensity etc) do not matter.
The name of the light has to be "Motion Path X" where X is a number between 1 and 9. Let's use 1 in this case.
Make sure the light's position is where you want particles to be born and also make sure the Emitter>Position is the same (this is where particles are born).
Then turn off Emitter>Velocity (set it to zero) so particles do not spread out over time.
Set Physics>Air>Motion Path to 1. (Or if you used another value for X, use that instead)
Now simply set some keyframes for the light's Position property and the particles will follow!
Make sure the particles have long enough Particle>Life so they don't die mid-path.
A cool thing is that all settings in Physics>Air still apply so for example try adding a little Spin so the particles hover around as they move on the path.
HQ or not HQ?
In the pop-up for Motion Path you will notice that there are also an "HQ" variant of each number. This is becuse if the Motion Path light move extremely quickly, the path is notably linerly interpolated between frames. If this happes (a path has edges that should be smooth) select the HQ variant instead. A word of warning: it is much slower, do not use it unless needed.